The following table presents the sensitivity test of the portfolio of financial instruments for which the PZU Group bears the risk (except for loan receivables from clients and deposit liabilities).
| Change in portfolio value caused by a +/-100 bp shift in the yield curve, by currency of the instrument | 31 December 2022 | 31 December 2021 | ||
|---|---|---|---|---|
| decrease | increase | decrease | increase | |
| Polish zloty | 685 | -663 | 1 180 | -1 143 |
| Euro | 12 | -8 | 60 | -56 |
| US dollar | 49 | -37 | 141 | -122 |
| other | 1 | -1 | -8 | 8 |
| Total | 747 | -709 | 1 373 | -1 313 |
The above sensitivity tests do not include the effects of changes in interest rates for technical provisions and liabilities under investment contracts. An analysis of effect of a change in technical rate on measurement of insurance contracts is presented in sections 8.5.2.1 and 8.5.2.2.
The table below presents the contractual level of sensitivity of net interest income (NII) to a 100 bp change in interest rates and sensitivity of the economic value of equity (EVE) of PZU Group’s banks to a 200 bps change in interest rates. The measure (NII) is used for managing interest rate risk in order to reduce variations in net interest income. EVE is defined as the present value of future cash flows that will be generated by the entity’s assets, less the present value of the future cash flows necessary to pay the entity’s liabilities. Both analyses assume an immediate change in market rates. The interest rate on bank products changes according to the contractual provisions, whereas in the case of contractual NII sensitivity, for deposits from retail customers, the declines in interest rates are limited to the zero interest rate level, but not down to negative figures, while for EVE sensitivity the zero-based limitation of interest rate decreases applies to all liabilities. Also, in the case of EVE sensitivity for PLN-denominated current deposits, a model that ensures realistic revaluation is used.
| Entity | Measure | 31 December 2022 | 31 December 2021 | ||
|---|---|---|---|---|---|
| decrease | increase | decrease | increase | ||
| Pekao Group | NII | -3,85% | 0,16% | -7,51% | -1,15% |
| EVE | 3,10% | -5,75% | 3,36% | -6,31% | |
| Alior Bank Group | NII | -4,68% | 0,65% | -7,52% | 0,89% |
| EVE | 1,56% | -4,74% | 0,50% | -2,49% | |
An increase in interest rates and turmoil in financial markets brought about by the Russia-Ukraine war resulted in higher use of market risk limits in banks. However, the level remains within the limits assumed by banks.
Changes in financial markets also pertain to PZU and PZU Życie portfolios. Nonetheless, most portfolios are kept in till initial maturity in accounting terms and therefore these changes do not affect their value and profitability. However, changes in macroeconomic conditions which took place in 2022 affected capital requirements levels.